Aït-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - In: Journal of Financial Economics 109 (2013) 1, pp. 224-249
The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high frequency data. The puzzle lies...